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Activity Number: 119
Type: Contributed
Date/Time: Monday, August 3, 2009 : 8:30 AM to 10:20 AM
Sponsor: Section on Risk Analysis
Abstract - #304983
Title: Dual-Time Analytics in Credit Risk Modeling
Author(s): Aijun Zhang*+
Companies: University of Michigan
Address: , , ,
Keywords: Credit risk modeling ; dual-time analytics ; Credit crisis ; Lexis diagram
Abstract:

In credit risk modeling, the default events could be triggered by both endogenous and exogenous hazards, for which we develop the dual-time analytics based on credit portfolios observed on Lexis diagram. In this talk, I will introduce some statistical methods of dual-time hazard calibration, and demonstrate their application to retail credit risk modeling, to shed some light on understanding the ongoing credit crisis.

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